Evaluation for moments of a ratio with application to regression estimation
Paul Doukhan and Gabriel Lang
Source: Bernoulli Volume 15, Number 4
(2009), 1259-1286.
Abstract
Ratios of random variables often appear in probability and statistical applications. We aim to approximate the moments of such ratios under several dependence assumptions. Extending the ideas in Collomb [C. R. Acad. Sci. Paris 285 (1977) 289–292], we propose sharper bounds for the moments of randomly weighted sums and for the Lp-deviations from the asymptotic normal law when the central limit theorem holds. We indicate suitable applications in finance and censored data analysis and focus on the applications in the field of functional estimation.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.bj/1262962235
Digital Object Identifier: doi:10.3150/09-BEJ190
Mathematical Reviews number (MathSciNet): MR2597592
Zentralblatt MATH identifier: 1200.62035
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